We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the Baseline treatment participants must forecast the stock return one period ahead; in the Volatility treat...

Recently, dynamic pricing has been a common competitive maneuver in e-commerce. In many industries, firms adjust the product price dynamically by the current product inventory and the future demand distribution. In this paper, we used particle swarm optimization (PSO) algorithm to train neural networks, then introduced the PSO-trained neural network into e-commerce and presented a new dynamic p...

This paper develops a rational expectations model with multiple equilibrium unemployment rates where the price of capital may be unbounded above. I argue that this property is an important feature of any rational-agent explanation of a financial crisis, since for the expansion phase of the crisis to be rational, investors must credibly believe that asset prices could keep increasing forever wit...

The goal of this paper is to assess, for the first time, the empirical impact of ”Keynes’ beauty contest”, or ”higher order beliefs”, on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that asset pricing models with heterogeneous expectations theoretically generate more volatility than rational expectation models. The paper also explains h...

Clustering is used to generate groupings of data from a large dataset, with the intention of representing the behavior of a system as accurately as possible. In this sense, clustering is applied in this work to extract useful information from the electricity price time series. To be precise, two clustering techniques, K-means and Expectation Maximization, have been utilized for the analysis of ...

We discuss a method of ranking allocations in economic environments which applies when we do not know the names or preferences of individual agents. We require that two allocations can be ranked with the knowledge only of their aggregate bundles and community indifference sets–a condition we refer to as aggregate independence. We also postulate a basic Pareto and continuity property, and a prop...

In this paper, we propose new mathematical programming approaches for computing time-dependent bid prices in network revenue management problems. In contrast with previous models, ours can accommodate more than one customer request between two successive bid price updates, as frequently occurs in practice. As a first approach, we introduce a simplified version of our time-dependent bid price mo...

This paper develops and estimates a behavioural model spanning two equity markets, with boundedly rational representative agents. These fund managers use three different types of information and change the relative weights on the information sources. The model is estimated for Hong Kong and Thailand, in the period surrounding the Asian crisis. We find that fund managers are boundedly rational i...

The stock market is forward looking; economic indicators and important future events are factored into stock prices. According to the Efficient Market Hypothesis†, markets operate efficiently and stock prices instantly and stock prices instantly reflect all information available. However, inefficiencies in the stock market exist due to the behaviors and expectations of investors. Stock prices m...